What is the cheapest system for backtesting?

Discussion in 'Trading' started by sneakoner, Jun 14, 2011.

  1. I'm a newbie and wanted to try out a system for backtesting. I was a little hesitant about signing up for TradeStation since its $100/month if you don't meet their 5000 share minimum (I doubt I'm going to come close to that in the beginning).

    Any ideas on cheap systems (or free ones) that can be used for backtesting strategies?

    EDIT: I don't have much programming experience.
  2. it depends on your level of skill. are you a good programmer?

    wealthlab has 30 day free trial. there is a steep learning curve if you don't program. their backtesting software requires C# knowledge.

    the trial comes with free daily and intraday data, which is really nice.
  3. LeeD


    The cheapest is free. Typical choice would be NinjaTrader (good GUI) and TradeLink (open source but the environment is aimed more at experienced computer programmers).

    If you want to go "cheap", I'd recommend AmiBroker - the fastest backtest I have seen. Also the buit in Amibroker Fromula Language (AFL) is very expressive. Most simple trading systems will be 3-4 times shorter than Ninja or TradeLink. Shorter means easier to read and understand and faster to change.

    My current choice is NeoTicker but it's in the same price range as TradeStation (except it's not part of a brokerage and thus doesn't require any trading). You can also buy a perpetual license. A second-hand license (which you may be able to procure at a massive dicount) is as good as new (I understand TickQuest, the maker of NeoTicker, don't mind people re-selling licenses they no longer need.) With a "paid" license (as opposed to trial) you get 350 days of history (including tick data) for a few dozen of instruments (mostly futures, equity indices and FX): http://newsletter.neoticker.com/2005/10/25/supported-symbols/
  4. You have two challenges. The data and the back testing process. For me, it was helpful to break these two steps apart. I can tell you what I do as inspiration but not necessarily as prescription.

    I trade options. My platform is ThinkOrSwim. I opened but did not fund an account with them and used their free data via the ThinkBack application for quite some time before beginning to trade with them. I am a software engineer, so programming is not difficult for me. I did mine in PHP rather than the built in ToS applications because I'm a fanatic about randomization to avoid "curve fitting" and had already built the back testing framework in PHP some time ago when I got my data from Worden.

    For my family and friends, who do not program, I have them do the back testing on paper or with Excel. It is very inexpensive in money but does cost time. It actually goes much quicker than you think because action only happens at entry, occasional management trades, exit or expiration.
  5. [Looks like HowardC beat me to this info, but I'll cast my vote as well :)]
    Are you looking to automate or will this system be traded manually?

    The ThinkOrSwim platform offers an interesting feature called "ThinkOnDemand" which basically allows you to replay market data and trade in a simulator. I think you can go back almost a year on most things (including options). The TOS platform has some annoying things about it, but this the market replay is actually pretty slick.
    I'm not sure if you can use this feature with the demo account, but I don't think they have a huge requirement to open an account and they don't charge platform or data fees.

    Yes, you'll have to trade by hand, but if your system looks promising, you can always jump to the next step and learn to code.
  6. LeeD


    In terms of fast learning Excel is unbeatable. You will only start encountering problems when you want to use relatively large amount of historical data, such as 1-minute bars for 10 years. 30-minute bars for 10 years is a breeze.

    Of course, with Excel it's fully up to the user to avoid forward-looking bias.
  7. Amibroker.com
  8. If the strategies posted on Wealth Lab are in C++ and Tradelink is based on C++, can I just copy and paste the Wealth Lab code into Tradelink accordingly? And then adjust the parameters as necessary?
  9. LeeD


    TradeLink and NinjaTrader are both based on C# but you can't cut and paste strategies between them either. I understand WelthLab is C# too (not C++). You should be able to use (simpler) WelathLab strategies in both with minor modifications as long as you know what you are doing. I strongly doubt simple pasting works even for the simplest strategies.